Measuring Uncertainty and Disagreement in the European Survey of Professional Forecasters

Measuring Inflation Anchoring and Uncertainty: A U.S. and Euro Area Comparison

“…13. Such uncertainty measures based on the diffuseness of probability distributions have been considered by Zarnowitz and Lambros (1987), Conflitti (2011), Abel et al (2016, Boero, Smith, and Wallis (2015), and D'Amico and Orphanides (2014), among others. Another important strand of the literature studies survey-based measures of disagreement and uncertainty (e.g., Lahiri and Sheng 2010).…”

How Informative are Aggregated Inflation Expectations? Evidence from the ECB Survey of Professional Forecasters

“…For example, in the 2014Q1 and 2014Q2 surveys, the long-term referred to calendar year 2018 and in the 2014Q3 and 2014Q4 surveys to calendar year 2019. Euro area inflation expectations in the ECB SPF have been analysed in many recent studies (see for example, Conflitti 2012, Rich et al 2012, Tsenova 2012, Andrade and Le Bihan 2013and Kenny et al 2014 Figures 1 and 2 display the history of short and long-term inflation expectations in the unbalanced ECB SPF panel. The lowest and highest survey responses, the mean and median values, as well as 5 th and 75 th percentiles are reported in both figures.…”

The Joint Dynamics of the U.S. and Euro-Area Inflation: Expectations and Time-Varying Uncertainty

“…5 Thus, it became popular to substitute this measure with the disagreement over the point inflation forecasts because the two measures appear to be closely correlated (Zarnowitz and Lambros, 1987;Giordani and Soderlind, 2003;Wright, 2011). Yet, a growing strand of literature shows the differences between disagreement and uncertainty survey measures (Conflitti, 2010;Rich et al, 2012;Andrade and Bihan, 2013;Boero et al, 2014;D'Amico and Orphanides, 2014). Interestingly, Lahiri and Sheng (2010) decompose forecast errors into common and idiosyncratic shocks, and show that aggregate forecast uncertainty can be expressed as the sum of the disagreement among forecasters and the perceived variability of future aggregate shocks.…”

“…The EA-SPF quarterly survey was launched on the first quarter of 1999 and has received a considerable amount of attention by academics and practitioners in recent years (see for instance Conflitti (2010); Rich et al (2012); Andrade and Bihan (2013)). The survey provides GDP forecasts, inflation expectations, and unemployment forecasts.…”

“…An important strand of the literature focuses on the differences between disagreement and uncertainty survey measures (Conflitti, 2010;Rich et al, 2012;Andrade and Bihan, 2013;Boero et al, 2014;D'Amico and Orphanides, 2014). Notably, Giordani and Soderlind (2003) find that disagreement is a fairly good proxy for other measures of uncertainty that are more theoretically appealing, but less easily available.…”